Recursive instrumental variable estimation of simultaneous equations with autoregressive disturbances

DOI10.1016/0167-9473(86)90031-9zbMath0625.62079OpenAlexW1990260677MaRDI QIDQ579812

Jean-Paul Chavas

Publication date: 1986

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-9473(86)90031-9

zbMATH Keywords

serial correlationstructural parameterssimultaneous equation modelasymptotically efficient estimationautoregressive error termsrecursive instrumental variable algorithm

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Unnamed Item
• Recursive estimation and time-series analysis. An introduction
• Recursive stability analysis of linear regression relationships. An exploratory methodology
• Instrumental variable methods for system identification
• The behaviour of inconsistent instrumental variables estimators in dynamic systems with autocorrelated errors
• Recursive estimation of simultaneous equation models
• Several efficient two-step estimators for the dynamic simultaneous equations model with autoregressive disturbances
• Asymptotic properties of full information estimators in dynamic autoregressive simultaneous equation models
• The iterative instrumental variables method and the full information maximum likelihood method for estimating interdependent systems
• The Maximum Likelihood Estimation of Economic Relationships with Autoregressive Residuals
• The Estimation of Economic Relationships using Instrumental Variables
• Refined instrumental variable methods of recursive time-series analysis Part II. Multivariable systems
• Best Linear Recursive Estimation for Mixed Linear Models
• An Instrumental Variable Approach to Full Information Estimators for Linear and Certain Nonlinear Econometric Models
• Some observations on instrumental variable methods of time-series analysis
• Linear Dynamic Recursive Estimation from the Viewpoint of Regresion Analysis

This page was built for publication: Recursive instrumental variable estimation of simultaneous equations with autoregressive disturbances